[Gretl-users] GARCH - GJR News Impact Curve
Dear All,
Please find attached a script that estimates GARCH and GJR models and then
creates a *news impact curve* from both.
Credit to Mery Mertzanidou.
regards
Theo
--
Theodore Panagiotidis
University of Macedonia
Thessaloniki, Greece
& Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory>
Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>
GooglePage
<https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
Attachments:
- attachment.htm (text/html — 1.6 KB)
- garch_gjr_nic_f.inp (application/x-gretlscript — 3.4 KB)